FdmQuantoHelper Class Reference

#include <fdmquantohelper.hpp>

Inheritance diagram for FdmQuantoHelper:

Collaboration diagram for FdmQuantoHelper:

Public Member Functions
	FdmQuantoHelper (ext::shared_ptr< YieldTermStructure > rTS, ext::shared_ptr< YieldTermStructure > fTS, ext::shared_ptr< BlackVolTermStructure > fxVolTS, Real equityFxCorrelation, Real exchRateATMlevel)
Rate	quantoAdjustment (Volatility equityVol, Time t1, Time t2) const
Array	quantoAdjustment (const Array &equityVol, Time t1, Time t2) const
Public Member Functions inherited from Observable
	Observable ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()

Public Attributes
const ext::shared_ptr< YieldTermStructure >	rTS_
const ext::shared_ptr< YieldTermStructure >	fTS_
const ext::shared_ptr< BlackVolTermStructure >	fxVolTS_
const Real	equityFxCorrelation_
const Real	exchRateATMlevel_

Detailed Description

Definition at line 36 of file fdmquantohelper.hpp.

Constructor & Destructor Documentation

FdmQuantoHelper()

FdmQuantoHelper	(	ext::shared_ptr< YieldTermStructure >	rTS,
		ext::shared_ptr< YieldTermStructure >	fTS,
		ext::shared_ptr< BlackVolTermStructure >	fxVolTS,
		Real	equityFxCorrelation,
		Real	exchRateATMlevel
	)

Definition at line 32 of file fdmquantohelper.cpp.

Member Function Documentation

quantoAdjustment() [1/2]

Rate quantoAdjustment	(	Volatility	equityVol,
		Time	t1,
		Time	t2
	)		const

Definition at line 40 of file fdmquantohelper.cpp.

quantoAdjustment() [2/2]

Array quantoAdjustment	(	const Array &	equityVol,
		Time	t1,
		Time	t2
	)		const

Definition at line 50 of file fdmquantohelper.cpp.

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Member Data Documentation

rTS_

const ext::shared_ptr<YieldTermStructure> rTS_

Definition at line 47 of file fdmquantohelper.hpp.

fTS_

const ext::shared_ptr<YieldTermStructure> fTS_

Definition at line 47 of file fdmquantohelper.hpp.

fxVolTS_

const ext::shared_ptr<BlackVolTermStructure> fxVolTS_

Definition at line 48 of file fdmquantohelper.hpp.

equityFxCorrelation_

const Real equityFxCorrelation_

Definition at line 49 of file fdmquantohelper.hpp.

exchRateATMlevel_

const Real exchRateATMlevel_

Definition at line 50 of file fdmquantohelper.hpp.